NO.PZ2020033001000017
问题如下:
Which of the following does not reflect in unconditional coverage model ?
选项:
A.Independence of the exceptions.
B.Timing of the exceptions.
C.The portfolio size.
D.Percentage of exceptions.
解释:
B is correct.
考点:backtesting VaR
解析:Unconditional testing假设所有的exception都是相互独立互不影响的,所以exception的timing是没有在模型里被考虑到的,也因此它是与现实的一些现象矛盾的,比如经济危机时高损失数据会扎堆出现。
unconditional coverage model和conditional coverage model谁更好,frm有提到吗?